Francisco Gomes

TL;DR: In this article, a realistically calibrated life cycle model of consumption and portfolio choice with non-tradable labor income and borrowing constraints is proposed, and the optimal share invested in equities is roughly decreasing over life.

TL;DR: In this paper, a life cycle model with realistically calibrated uninsurable labor income risk and moderate risk aversion can simultaneously match stock market participation rates and asset allocation decisions conditional on participation, and the key ingredients of the model are Epstein-Zin preferences, a fixed stock market entry cost, and moderate heterogeneity in risk aversion.

TL;DR: In this paper, a life-cycle model with realistically calibrated uninsurable labor income risk and moderate risk aversion can simultaneously match stock market participation rates and asset allocation decisions conditional on participation.

TL;DR: In this article, the authors use a unique dataset to show that relationships are an important determinant of banks' ability to access interbank market liquidity, and they find that banks with a larger reserve imbalance are more likely to borrow funds from banks with whom they have a relationship, and to pay a lower interest rate than otherwise.

TL;DR: In this paper, the authors develop a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market participation and individual asset holdings, and show that it is challenging to simultaneously match asset pricing moments and individual portfolio decisions, while limited participation has a negligible impact on the risk-premium.